It was just a coincedence when I discovered it while I was chatting with my friend and some error occured in one of the application and I pressed Ctrl + C to copy some stuff and send it to my freind but as error dialog gets the focus, and when I unconciously pasted that stuff in the chat window I found that ugly error message ~!

So the moral/finding of the story is : Ctrl + C works with those ugly windows error messages !@!
I tried to find this out by Goooooogling and I found few good links as well, but one limitation of this is that it works on Windows 2000/XP/2003 and onwards.........................~!
Links:
How can I quickly copy error messages and other type of messages in Windows 2000/XP/2003?
Tip - Ctrl C to Copy those Pesky Error Message Pop-ups!
Quite handy, isn't it ~!
Happy Computing :)